Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0813
Annualized Std Dev 0.1774
Annualized Sharpe (Rf=0%) 0.4585

Row

Daily Return Statistics

Close
Observations 3385.0000
NAs 1.0000
Minimum -0.1018
Quartile 1 -0.0047
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0059
Maximum 0.1321
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0112
Skewness -0.2361
Kurtosis 16.6093

Downside Risk

Close
Semi Deviation 0.0082
Gain Deviation 0.0078
Loss Deviation 0.0090
Downside Deviation (MAR=210%) 0.0128
Downside Deviation (Rf=0%) 0.0080
Downside Deviation (0%) 0.0080
Maximum Drawdown 0.4005
Historical VaR (95%) -0.0156
Historical ES (95%) -0.0266
Modified VaR (95%) -0.0150
Modified ES (95%) -0.0150
From Trough To Depth Length To Trough Recovery
2007-06-13 2009-03-06 2010-11-04 -0.4005 761 340 421
2018-01-29 2020-03-23 2020-11-16 -0.2941 707 541 166
2011-07-08 2011-10-03 2012-11-30 -0.1525 353 61 292
2016-07-11 2016-12-01 2017-12-08 -0.1119 359 102 257
2015-08-18 2015-09-29 2016-03-17 -0.1009 147 30 117

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA 1 0.7 -0.9 -1.4 0 2.3 1.2 -0.4 2.4
2008 1.1 -1.8 13.2 -0.5 1 -0.9 0.2 -1.2 10.1 2.5 -4.4 1.9 21.6
2009 -2.6 0 1.5 0.1 2.6 1.6 0.3 -1.1 -1.4 -1.5 1.4 -0.8 0.1
2010 0.7 1.2 0.7 -1 -0.1 -0.4 0.4 1.5 -0.1 -0.1 1.1 0.1 4.2
2011 1.4 -1.4 0.5 0.9 -1.8 1.2 -0.1 -0.8 -1.4 -2.7 -0.1 -0.6 -4.8
2012 0.8 0.5 0.3 -0.6 -2.3 2.9 -0.4 0.6 0.4 1.1 0.3 1.4 5
2013 0.9 0.9 -0.4 -0.6 -1.6 0.9 1.5 0 0.9 -0.1 -0.3 0.1 2.1
2014 0.1 0.6 0.1 0 0.3 0.4 0.8 0.1 -1 1 -0.6 -1.1 0.6
2015 -2.2 0.7 -0.1 1.3 -0.3 1 0 -2.6 0.1 0.2 0.5 -1.1 -2.4
2016 1.4 1 1.3 0 0.9 -0.5 -0.2 -0.4 1 -0.3 -0.8 -0.4 2.9
2017 -0.6 0.6 0 -0.4 1.2 0.7 0 0.8 0.3 0.1 0 -0.3 2.3
2018 -0.4 -0.7 1 -0.5 0.2 -0.4 -1.1 0.5 -0.6 2 -0.4 0.6 0
2019 -0.2 -0.4 0 -0.5 -0.8 0.4 0.8 0.7 -0.7 0.9 -0.4 0.1 -0.3
2020 -1.7 -1.9 -2.3 -2.5 0.6 -0.4 -0.1 -0.7 0.4 -1 0.6 0.6 -8
2021 -0.2 1.3 0.6 NA NA NA NA NA NA NA NA NA 1.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-05-10  19.8 SPY    150. -1.05e-2 -0.0051    0.0386   0.0314    0.128    0.360    0.372 GLD    66   -0.0215  -0.0221
2 2007-05-11  19.8 SPY    151.  8.60e-3 -0.0004    0.0429   0.0481    0.138    0.386    0.400 GLD    66.4  0.0068  -0.0255
3 2007-05-14  19.8 SPY    151. -2.20e-3 -0.0028    0.0359   0.0494    0.150    0.372    0.424 GLD    66.3 -0.0026  -0.0289
4 2007-05-15  19.8 SPY    151.  3.00e-4 -0.00120   0.0264   0.0409    0.165    0.363    0.396 GLD    66.5  0.0039  -0.0197
5 2007-05-16  19.8 SPY    152.  6.80e-3  0.00290   0.0307   0.0411    0.171    0.378    0.375 GLD    65.6 -0.0141  -0.0274
6 2007-05-17  19.9 SPY    151. -2.00e-3  0.0115    0.0274   0.0377    0.170    0.375    0.378 GLD    65.1 -0.0082  -0.0142
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart